Displaying similar documents to “Tractability of multivariate problems for weighted spaces of functions”

On the Multivariate Robinson-Schensted Correspondence

Fabrizio Caselli (2008)

Bollettino dell'Unione Matematica Italiana

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We show the existence of a multivariate extension of the Robinson-Schensted correspondence. This is inspired by the interpretation of the classical two dimensional case in the invariant theory of (finite) reflection groups.

Forecasting time series with multivariate copulas

Clarence Simard, Bruno Rémillard (2015)

Dependence Modeling

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In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the predictions evolves when changing the strength of the different possible dependencies, as well as the structure of the dependence. We also look at the impact of the marginal distributions. The impact of estimation errors on the performance of the predictions is also considered. In all the experiments, we compare predictions from our...

On global smoothness preservation in complex approximation

George A. Anastassiou, Sorin G. Gal (2002)

Annales Polonici Mathematici

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By using the properties of convergence and global smoothness preservation of multivariate Weierstrass singular integrals, we establish multivariate complex Carleman type approximation results with rates. Here the approximants fulfill the global smoothness preservation property. Furthermore Mergelyan's theorem for the unit disc is strengthened by proving the global smoothness preservation property.

Multivariate extensions of expectiles risk measures

Véronique Maume-Deschamps, Didier Rullière, Khalil Said (2017)

Dependence Modeling

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This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

Cost-efficiency in multivariate Lévy models

Ludger Rüschendorf, Viktor Wolf (2015)

Dependence Modeling

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In this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This multivariate framework allows to deal with dependent price processes as arising in typical applications. Dependence of the components of the Lévy Process implies an influence even on the pricing of efficient versions of univariate payoffs.We state various...

Multivariate measures of concordance for copulas and their marginals

M. D. Taylor (2016)

Dependence Modeling

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Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular,we examine the relations between the measure of concordance of an n-copula and the measures of concordance of the copula’s marginals.